报告题目：Stochastic differential game between an insurer and a reinsurer under thinning dependence structure

报告人：梁志彬，南京师范大学教授、博士生导师

报告时间：2023年6月19日（周一）下午2:00-3:00

报告地点：#腾讯会议：332-737-027

报告摘要：This talk investigates a non-zero-sum stochastic differential investment and reinsurance game between an insurer and a reinsurer. It is assumed that the insurer can purchase proportional reinsurance and the claim businesses between the insurer and the reinsurer are dependent through thinning dependence structure. Besides, both the insurer and the reinsurer are allowed to invest in a risk-free asset and a risky asset, in which the two risky assets are supposed to be correlated. The objective of each is to maximize the mean-variance utility of the difference between its terminal wealth and that of its cooperator. By solving the extended Hamilton-Jacobi-Bellman systems within the game theoretic framework, explicit expressions of the optimal time-consistent strategies and value functions of the insurer and the reinsurer are derived. Finally, several sensitivity analysis and numerical examples are presented to illustrate the effects of market parameters on the optimal strategies as well as the economic interpretation behind.

报告人简介：梁志彬，博士，南京师范大学数学科学学院教授，博士生导师。主要研究方向：风险管理与精算，数理金融与定价，随机最优风险控制。目前感兴趣的研究领域是：金融保险市场不确定环境下的博弈与优化；机器学习算法下的量化投资与随机最优控制。近年来，在SAJ，IME，AMO，EJOR等数理金融与精算以及优化相关期刊发表学术论文50余篇，主持和完成国家自然科学基金项目以及省部级基金项目多项。08年以来，先后访问过英国London Imperial College的Tanaka商学院；美国University of Michigan的数学系（先后三年半）；加拿大Concordia University的数学与统计系；美国北卡州立大学数学系；以及多次访问香港大学的统计与精算系等。目前是国家自然科学基金委员会数理科学部的网上通讯评议专家，以及教育部学位中心网上通讯评议专家。同时，担任中国现场统计研究会风险管理与精算分会理事会理事，双法研究会量化金融与保险分会理事，江苏省统计学会理事。